期刊论文详细信息
| Journal of Mathematical Sciences | |
| A Representation Theorem on a Filtering Model with First-Passage-Type Stopping Time | |
| Nakashima, Takenobu1 | |
| 关键词: Information; hazard process of default time; intensity; filtration.; | |
| DOI : | |
| 学科分类：数学（综合） | |
| 来源: University of Tokyo * Department of Mathematical Sciences | |
 PDF
|
|
【 摘 要 】
Wepresentarepresentationtheoremforafilteringmodelwithfirst-passage-typestoppingtime.Themodelisconstructedfromtwounobservableprocessesandoneobservableprocessthatisundertheinfluenceoftwounobservableprocesses.AfilterisconstructedusingBrownianmotionintheobservableprocessandafirst-passage-typestoppingtimeinanunobservableprocess.ThoughourtheoremsaresimilartothoseofNakagawacite{Nakagawa},wedonotusepinnedBrownianmotionmeasure,whichisdifficulttodealwith.Inaddition,wedescribearepresentationtheoremforanotherfiltrationthatwasnotdiscussedbyNakagawacite{Nakagawa}.
【 授权许可】
Unknown
【 预 览 】
| Files | Size | Format | View |
|---|---|---|---|
| RO201912090770037ZK.pdf | 270KB |  download |
878987797
028-85220240
